Related papers: On mixtures of copulas and mixing coefficients
Copulas allow a flexible and simultaneous modeling of complicated dependence structures together with various marginal distributions. Especially if the density function can be represented as the product of the marginal density functions and…
Copulas are known to satisfy a number of regularity properties, and one might therefore believe that their densities, when they exist, admit a certain degree of regularity themselves. We show that this is not true in general by constructing…
Sufficient conditions are provided under which the log-likelihood ratio test statistic fails to have a limiting chi-squared distribution under the null hypothesis when testing between one and two components under a general two-component…
This paper provides conditions under which a non-stationary copula-based Markov process is $\beta$-mixing. We introduce, as a particular case, a convolution-based gaussian Markov process which generalizes the standard random walk allowing…
A general setting for nested subdivisions of a bounded real set into intervals defining the digits $X_1,X_2,...$ of a random variable $X$ with a probability density function $f$ is considered. Under the weak condition that $f$ is almost…
Many finite-state reversible Markov chains can be naturally decomposed into "projection" and "restriction" chains. In this paper we provide bounds on the total variation mixing times of the original chain in terms of the mixing properties…
About two dozens of exactly solvable Markov chains on one-dimensional finite and semi-infinite integer lattices are constructed in terms of convolutions of orthogonality measures of the Krawtchouk, Hahn, Meixner, Charlier, $q$-Hahn,…
We consider copulas with a given diagonal section and compute the explicit density of the unique optimal copula which maximizes the entropy. In this sense, this copula is the least informative among the copulas with a given diagonal…
We investigate aspects of semimartingale decompositions, approximation and the martingale representation for multidimensional correlated Markov processes. A new interpretation of the dependence among processes is given using the martingale…
Copulas, generalized estimating equations, and generalized linear mixed models promote the analysis of grouped data where non-normal responses are correlated. Unfortunately, parameter estimation remains challenging in these three…
We investigate the mixing coefficients of interval maps satisfying Rychlik's conditions. A mixing Lasota-Yorke map is reverse $\phi$-mixing. If its invariant density is uniformly bounded away from 0, it is $\phi$-mixing iff all images of…
Partially exchangeable sequences representable as mixtures of Markov chains are completely specified by de Finetti's mixing measure. The paper characterizes, in terms of a subclass of hidden Markov models, the partially exchangeable…
Gibbs sampling is a common procedure used to fit finite mixture models. However, it is known to be slow to converge when exploring correlated regions of a parameter space and so blocking correlated parameters is sometimes implemented in…
A new method for constructing absolutely continuous two--dimensional copulas by differential equations is presented. The copulas are symmetric with respect to reflection in the opposite diagonal. The support of the copula density may be…
We investigate loosely bound composite states made of dark matter, where the binding energy for constituent particles is less than the constituent mass. We focus on models of nuclear and molecular dark matter, where constituents are…
We consider skew products over subshifts of finite type in which the fibers are copies of the real line, and we study their mixing properties with respect to any infinite invariant measure given by the product of a Gibbs measure on the base…
The class of index-mixed copulas is introduced and its properties are investigated. Index-mixed copulas are constructed from given base copulas and a random index vector, and show a rather remarkable degree of analytical tractability. The…
Through a Metropolis-like algorithm with single step computational cost of order one, we build a Markov chain that relaxes to the canonical Fermi statistics for k non-interacting particles among m energy levels. Uniformly over the…
We provide a general framework for computing upper bounds on mixing times of finite Markov chains when its minimal ideal is left zero. Our analysis is based on combining results by Brown and Diaconis with our previous work on stationary…
We prove an upper bound on the total variation mixing time of a finite Markov chain in terms of the absolute spectral gap and the number of elements in the state space. Unlike results requiring reversibility or irreducibility, this bound is…